Assumption-Lean Quantile Regression

TL;DR

This paper introduces a robust, assumption-lean quantile regression method that effectively detects exposure-outcome associations, even under model misspecification and variable selection bias, by leveraging nonparametric estimands and influence functions.

Contribution

It proposes a new partially linear quantile regression approach that remains consistent under misspecification and incorporates data-adaptive procedures for reliable inference.

Findings

Method performs well in simulations.

Applied to health care cost data.

Robust to model misspecification.

Abstract

Quantile regression is a powerful tool for detecting exposure-outcome associations given covariates across different parts of the outcome's distribution, but has two major limitations when the aim is to infer the effect of an exposure. Firstly, the exposure coefficient estimator may not converge to a meaningful quantity when the model is misspecified, and secondly, variable selection methods may induce bias and excess uncertainty, rendering inferences biased and overly optimistic. In this paper, we address these issues via partially linear quantile regression models which parametrize the conditional association of interest, but do not restrict the association with other covariates in the model. We propose consistent estimators for the unknown model parameter by mapping it onto a nonparametric main effect estimand that captures the (conditional) association of interest even when the quantile model is misspecified. This estimand is estimated using the efficient influence function under the nonparametric model, allowing for the incorporation of data-adaptive procedures such as variable selection and machine learning. Our approach provides a flexible and reliable method for detecting associations that is robust to model misspecification and excess uncertainty induced by variable selection methods. The proposal is illustrated using simulation studies and data on annual health care costs associated with excess body weight.